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Revert "Add dataframe parameter to custom_stoploss() and custom_sell() methods."

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This reverts commit 595b8735f8.

# Conflicts:
#	freqtrade/optimize/backtesting.py
#	freqtrade/strategy/interface.py
This commit is contained in:
Rokas Kupstys 2021-05-02 12:17:59 +03:00
parent 513be11fd9
commit d34da3f981
5 changed files with 21 additions and 27 deletions
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13
freqtrade/freqtradebot.py
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@ -11,7 +11,6 @@ from typing import Any, Dict, List, Optional
import arrow import arrow
from cachetools import TTLCache from cachetools import TTLCache
from pandas import DataFrame
from freqtrade import __version__, constants from freqtrade import __version__, constants
from freqtrade.configuration import validate_config_consistency from freqtrade.configuration import validate_config_consistency
@ -784,10 +783,10 @@ class FreqtradeBot(LoggingMixin):
config_ask_strategy = self.config.get('ask_strategy', {}) config_ask_strategy = self.config.get('ask_strategy', {})
analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(trade.pair,
self.strategy.timeframe)
if (config_ask_strategy.get('use_sell_signal', True) or if (config_ask_strategy.get('use_sell_signal', True) or
config_ask_strategy.get('ignore_roi_if_buy_signal', False)): config_ask_strategy.get('ignore_roi_if_buy_signal', False)):
analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(trade.pair,
self.strategy.timeframe)
(buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.timeframe, analyzed_df) (buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.timeframe, analyzed_df)
@ -814,13 +813,13 @@ class FreqtradeBot(LoggingMixin):
# resulting in outdated RPC messages # resulting in outdated RPC messages
self._sell_rate_cache[trade.pair] = sell_rate self._sell_rate_cache[trade.pair] = sell_rate
if self._check_and_execute_sell(analyzed_df, trade, sell_rate, buy, sell): if self._check_and_execute_sell(trade, sell_rate, buy, sell):
return True return True
else: else:
logger.debug('checking sell') logger.debug('checking sell')
sell_rate = self.get_sell_rate(trade.pair, True) sell_rate = self.get_sell_rate(trade.pair, True)
if self._check_and_execute_sell(analyzed_df, trade, sell_rate, buy, sell): if self._check_and_execute_sell(trade, sell_rate, buy, sell):
return True return True
logger.debug('Found no sell signal for %s.', trade) logger.debug('Found no sell signal for %s.', trade)
@ -951,13 +950,13 @@ class FreqtradeBot(LoggingMixin):
logger.warning(f"Could not create trailing stoploss order " logger.warning(f"Could not create trailing stoploss order "
f"for pair {trade.pair}.") f"for pair {trade.pair}.")
def _check_and_execute_sell(self, dataframe: DataFrame, trade: Trade, sell_rate: float, def _check_and_execute_sell(self, trade: Trade, sell_rate: float,
buy: bool, sell: bool) -> bool: buy: bool, sell: bool) -> bool:
""" """
Check and execute sell Check and execute sell
""" """
should_sell = self.strategy.should_sell( should_sell = self.strategy.should_sell(
dataframe, trade, sell_rate, datetime.now(timezone.utc), buy, sell, trade, sell_rate, datetime.now(timezone.utc), buy, sell,
force_stoploss=self.edge.stoploss(trade.pair) if self.edge else 0 force_stoploss=self.edge.stoploss(trade.pair) if self.edge else 0
) )

7
freqtrade/optimize/backtesting.py
View File

@ -247,10 +247,9 @@ class Backtesting:
else: else:
return sell_row[OPEN_IDX] return sell_row[OPEN_IDX]
def _get_sell_trade_entry(self, dataframe: DataFrame, trade: LocalTrade, def _get_sell_trade_entry(self, trade: LocalTrade, sell_row: Tuple) -> Optional[LocalTrade]:
sell_row: Tuple) -> Optional[LocalTrade]:
sell = self.strategy.should_sell(dataframe, trade, sell_row[OPEN_IDX], # type: ignore sell = self.strategy.should_sell(trade, sell_row[OPEN_IDX], # type: ignore
sell_row[DATE_IDX].to_pydatetime(), sell_row[BUY_IDX], sell_row[DATE_IDX].to_pydatetime(), sell_row[BUY_IDX],
sell_row[SELL_IDX], sell_row[SELL_IDX],
low=sell_row[LOW_IDX], high=sell_row[HIGH_IDX]) low=sell_row[LOW_IDX], high=sell_row[HIGH_IDX])
@ -398,7 +397,7 @@ class Backtesting:
for trade in open_trades[pair]: for trade in open_trades[pair]:
# also check the buying candle for sell conditions. # also check the buying candle for sell conditions.
trade_entry = self._get_sell_trade_entry(processed[pair], trade, row) trade_entry = self._get_sell_trade_entry(trade, row)
# Sell occured # Sell occured
if trade_entry: if trade_entry:
# logger.debug(f"{pair} - Backtesting sell {trade}") # logger.debug(f"{pair} - Backtesting sell {trade}")

21
freqtrade/strategy/interface.py
View File

@ -277,7 +277,7 @@ class IStrategy(ABC, HyperStrategyMixin):
return True return True
def custom_stoploss(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, def custom_stoploss(self, pair: str, trade: Trade, current_time: datetime, current_rate: float,
current_profit: float, dataframe: DataFrame, **kwargs) -> float: current_profit: float, **kwargs) -> float:
""" """
Custom stoploss logic, returning the new distance relative to current_rate (as ratio). Custom stoploss logic, returning the new distance relative to current_rate (as ratio).
e.g. returning -0.05 would create a stoploss 5% below current_rate. e.g. returning -0.05 would create a stoploss 5% below current_rate.
@ -300,8 +300,7 @@ class IStrategy(ABC, HyperStrategyMixin):
return self.stoploss return self.stoploss
def custom_sell(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, def custom_sell(self, pair: str, trade: Trade, current_time: datetime, current_rate: float,
current_profit: float, dataframe: DataFrame, current_profit: float, **kwargs) -> Optional[Union[str, bool]]:
**kwargs) -> Optional[Union[str, bool]]:
""" """
Custom sell signal logic indicating that specified position should be sold. Returning a Custom sell signal logic indicating that specified position should be sold. Returning a
string or True from this method is equal to setting sell signal on a candle at specified string or True from this method is equal to setting sell signal on a candle at specified
@ -539,8 +538,8 @@ class IStrategy(ABC, HyperStrategyMixin):
else: else:
return False return False
def should_sell(self, dataframe: DataFrame, trade: Trade, rate: float, date: datetime, def should_sell(self, trade: Trade, rate: float, date: datetime, buy: bool,
buy: bool, sell: bool, low: float = None, high: float = None, sell: bool, low: float = None, high: float = None,
force_stoploss: float = 0) -> SellCheckTuple: force_stoploss: float = 0) -> SellCheckTuple:
""" """
This function evaluates if one of the conditions required to trigger a sell This function evaluates if one of the conditions required to trigger a sell
@ -556,9 +555,8 @@ class IStrategy(ABC, HyperStrategyMixin):
trade.adjust_min_max_rates(high or current_rate) trade.adjust_min_max_rates(high or current_rate)
stoplossflag = self.stop_loss_reached(dataframe=dataframe, current_rate=current_rate, stoplossflag = self.stop_loss_reached(current_rate=current_rate, trade=trade,
trade=trade, current_time=date, current_time=date, current_profit=current_profit,
current_profit=current_profit,
force_stoploss=force_stoploss, high=high) force_stoploss=force_stoploss, high=high)
# Set current rate to high for backtesting sell # Set current rate to high for backtesting sell
@ -583,7 +581,7 @@ class IStrategy(ABC, HyperStrategyMixin):
else: else:
custom_reason = strategy_safe_wrapper(self.custom_sell, default_retval=False)( custom_reason = strategy_safe_wrapper(self.custom_sell, default_retval=False)(
pair=trade.pair, trade=trade, current_time=date, current_rate=current_rate, pair=trade.pair, trade=trade, current_time=date, current_rate=current_rate,
current_profit=current_profit, dataframe=dataframe) current_profit=current_profit)
if custom_reason: if custom_reason:
sell_signal = SellType.CUSTOM_SELL sell_signal = SellType.CUSTOM_SELL
if isinstance(custom_reason, str): if isinstance(custom_reason, str):
@ -620,7 +618,7 @@ class IStrategy(ABC, HyperStrategyMixin):
# logger.debug(f"{trade.pair} - No sell signal.") # logger.debug(f"{trade.pair} - No sell signal.")
return SellCheckTuple(sell_type=SellType.NONE) return SellCheckTuple(sell_type=SellType.NONE)
def stop_loss_reached(self, dataframe: DataFrame, current_rate: float, trade: Trade, def stop_loss_reached(self, current_rate: float, trade: Trade,
current_time: datetime, current_profit: float, current_time: datetime, current_profit: float,
force_stoploss: float, high: float = None) -> SellCheckTuple: force_stoploss: float, high: float = None) -> SellCheckTuple:
""" """
@ -638,8 +636,7 @@ class IStrategy(ABC, HyperStrategyMixin):
)(pair=trade.pair, trade=trade, )(pair=trade.pair, trade=trade,
current_time=current_time, current_time=current_time,
current_rate=current_rate, current_rate=current_rate,
current_profit=current_profit, current_profit=current_profit)
dataframe=dataframe)
# Sanity check - error cases will return None # Sanity check - error cases will return None
if stop_loss_value: if stop_loss_value:
# logger.info(f"{trade.pair} {stop_loss_value=} {current_profit=}") # logger.info(f"{trade.pair} {stop_loss_value=} {current_profit=}")

3
tests/strategy/test_default_strategy.py
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@ -41,5 +41,4 @@ def test_default_strategy(result, fee):
rate=20000, time_in_force='gtc', sell_reason='roi') is True rate=20000, time_in_force='gtc', sell_reason='roi') is True
assert strategy.custom_stoploss(pair='ETH/BTC', trade=trade, current_time=datetime.now(), assert strategy.custom_stoploss(pair='ETH/BTC', trade=trade, current_time=datetime.now(),
current_rate=20_000, current_profit=0.05, dataframe=None current_rate=20_000, current_profit=0.05) == strategy.stoploss
) == strategy.stoploss

4
tests/strategy/test_interface.py
View File

@ -360,7 +360,7 @@ def test_stop_loss_reached(default_conf, fee, profit, adjusted, expected, traili
now = arrow.utcnow().datetime now = arrow.utcnow().datetime
sl_flag = strategy.stop_loss_reached(current_rate=trade.open_rate * (1 + profit), trade=trade, sl_flag = strategy.stop_loss_reached(current_rate=trade.open_rate * (1 + profit), trade=trade,
current_time=now, current_profit=profit, current_time=now, current_profit=profit,
force_stoploss=0, high=None, dataframe=None) force_stoploss=0, high=None)
assert isinstance(sl_flag, SellCheckTuple) assert isinstance(sl_flag, SellCheckTuple)
assert sl_flag.sell_type == expected assert sl_flag.sell_type == expected
if expected == SellType.NONE: if expected == SellType.NONE:
@ -371,7 +371,7 @@ def test_stop_loss_reached(default_conf, fee, profit, adjusted, expected, traili
sl_flag = strategy.stop_loss_reached(current_rate=trade.open_rate * (1 + profit2), trade=trade, sl_flag = strategy.stop_loss_reached(current_rate=trade.open_rate * (1 + profit2), trade=trade,
current_time=now, current_profit=profit2, current_time=now, current_profit=profit2,
force_stoploss=0, high=None, dataframe=None) force_stoploss=0, high=None)
assert sl_flag.sell_type == expected2 assert sl_flag.sell_type == expected2
if expected2 == SellType.NONE: if expected2 == SellType.NONE:
assert sl_flag.sell_flag is False assert sl_flag.sell_flag is False